Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 20 is Best) 5 5 5
Score 8.65 6.71 8.93
Market Cap (Millions USD) 45545.94 44811.54 45180.14
Predicted Beta 2.12 2.11 2.06
Idiosyncratic Volatility 2.07 2.81 2.84

Annualized return and volatility

IWF
Annualized Return 0.0537
Annualized Std Dev 0.1955
Annualized Sharpe (Rf=0%) 0.2744

Row

Daily Return Statistics

IWF
Observations 5009.0000
NAs 104.0000
Minimum -0.0863
Quartile 1 -0.0049
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0059
Maximum 0.1231
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0123
Skewness 0.1504
Kurtosis 7.7491

Downside Risk

IWF
Semi Deviation 0.0088
Gain Deviation 0.0089
Loss Deviation 0.0095
Downside Deviation (MAR=210%) 0.0136
Downside Deviation (Rf=0%) 0.0087
Downside Deviation (0%) 0.0087
Maximum Drawdown 0.6418
Historical VaR (95%) -0.0195
Historical ES (95%) -0.0296
Modified VaR (95%) -0.0175
Modified ES (95%) -0.0225
From Trough To Depth Length To Trough Recovery
2000-07-18 2009-03-09 2013-09-18 -0.6418 3369 2212 1157
2018-10-02 2018-12-24 2019-04-12 -0.2191 135 59 76
2015-07-21 2016-02-11 2016-07-08 -0.1385 249 146 103
2018-01-29 2018-02-08 2018-06-05 -0.0988 90 9 81
2019-04-30 2019-06-03 2019-06-20 -0.0788 38 25 13

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec IWF
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 NA NA NA NA 1.0 0.0 0.5 0.1 0.0 -0.1 1.9 0.0 3.5
2001 -0.4 0.4 0.0 2.2 1.4 0.0 0.6 0.0 0.0 2.3 0.0 0.0 6.6
2002 -0.3 2.6 -0.2 0.7 0.0 -2.5 -3.6 0.0 3.2 1.9 0.0 0.0 1.6
2003 0.0 0.0 1.6 0.0 0.0 1.0 -1.0 0.0 2.2 0.0 1.4 0.0 5.3
2004 0.0 1.0 0.5 0.0 -0.2 -1.3 0.0 0.6 1.7 0.0 1.4 0.0 3.8
2005 0.4 0.7 -0.7 0.0 0.7 0.4 0.0 -0.5 0.0 0.0 1.3 0.0 2.3
2006 1.0 1.0 0.0 -0.7 1.2 0.0 -0.8 0.8 0.0 -0.9 -0.3 0.0 1.4
2007 0.6 -0.4 0.0 0.3 0.4 0.0 0.5 0.0 0.9 -1.9 0.0 0.0 0.3
2008 1.5 0.0 3.3 1.6 0.0 0.4 -0.7 0.0 -2.1 0.0 -8.1 0.0 -4.5
2009 0.0 0.0 1.9 0.8 3.3 0.6 0.0 -1.8 -2.2 0.0 1.2 0.0 3.8
2010 1.4 1.2 0.5 0.0 -1.1 -0.1 0.0 3.0 0.4 0.1 2.1 0.0 7.6
2011 1.6 -1.6 0.4 0.0 -2.1 1.5 -0.5 -1.0 0.0 -2.4 0.2 0.0 -4.0
2012 0.9 0.6 0.0 0.3 -2.6 0.0 -0.3 0.0 0.3 1.4 0.0 0.0 0.5
2013 1.0 0.3 -0.6 -0.8 0.0 1.0 1.3 0.0 0.9 0.1 0.0 0.0 3.3
2014 0.0 0.0 1.1 0.1 0.0 0.9 -0.3 0.0 -1.4 0.0 -1.1 0.0 -0.8
2015 0.0 0.0 -0.4 1.1 0.3 0.9 0.0 -2.8 0.5 0.0 0.9 0.0 0.6
2016 0.4 2.6 0.8 0.0 0.1 0.3 0.3 0.2 0.0 -0.7 -0.9 0.0 3.0
2017 0.2 1.3 0.0 0.4 0.8 0.0 0.2 0.1 0.0 -0.1 -0.4 0.0 2.5
2018 -0.3 -1.4 0.0 0.6 1.2 0.0 0.4 0.0 0.2 1.3 0.0 0.0 2.0
2019 -0.1 0.8 1.1 -0.7 0.0 1.2 -0.5 0.0 -1.0 0.8 0.0 0.2 1.9

Row

Rolling Performance Chart

Snail Trail Chart